In Oblivion, I didn't set up a home base until I beat the Thieve's Guild. And then, I had that place on the Waterfront.
In Fallout 3, in my first playthrough, it was Tenpenny Tower, second Megaton, third Tenpenny again until I couldn't get in due to a glitch (I lost my Firelance), so I went to Rivet City. When I visit Point Lookout, I always set up shop in the hotel that seems to have been the scene of a homocide.
New Vegas, I had that hotel room in Novac until I got the Lucky 38.